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04-07-2013 11:49 AM

Dear Community Members,

I am interested in the statistical significance of the difference in means of two series. Below is how my data looks:

wday trader_id x y

0 1 0.23 .

0 2 0.46 0.11

0 3 . 0.17

.

.

0 140 0.98 0.87

1 1 0.12 0.04

1 4 0.00 0.47

.

.

.

where wday ranges from 0 to 252. I want to calculate the mean of X and Y for each wday, and then test if the difference between the mean of X and mean of Y is statistically significant.

The final output should look like the following:

wday (mean_x) (mean_y) (mean_x-mean_y) t(mean_x-mean_y) p(mean_x-mean_y)

0

1

2

.

.

252

I know how to calculate mean_x, mean_y, t-statistics and p-values via proc means, but I could not figure out how to get the same statistics (t and p) for the difference in means via proc ttest. I can code the formula in SAS, but I am wondering if there is already a built-function to do this (a simple formula is given on page two of: http://noether.uoregon.edu/~dps/243/Notes/notes20.pdf). It is important to keep in mind that x and y have different number of observations for most of wday and theoretically I am not allowed to take the difference between X and Y if one of them is missing (i.e. I cannot use x-y or sum(x,-y) )

Thank you for your time and help in advance.

Best

Accepted Solutions

Solution

04-08-2013
04:56 AM

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Posted in reply to finans_sas

04-08-2013 04:56 AM

I think you need to manipulate the results of Proc Ttest in order to achive desired output...

Proc sort data = test;

by wday;

run;

proc means data = test noprint;

var x y;

by wday;

output out = means mean(x) = mean(y) / autoname;

run;

ods output ttests = t_stat;

ods output statistics = other_stat;

/* If your samples that is X and Y are related */

proc ttest data = test;

var x y;

by wday;

run;

/* If your samples that is X and Y are related */

/* Based on the output you want, you need to use this Proc Ttest with PAIRED statement */

proc ttest data = test;

paired x * y;

by wday;

run;

ods output close;

/* If your X and Y are related */

proc sql;

create table final_t_test as

select a.wday,x_mean,y_mean,

b.mean as mean_x_mean_y,

c.probt as p_mean_x_mean_y

from stat_mean as a,

other_stat as b,

t_stat as c

where a.wday = b.wday = c.wday;

quit;

All Replies

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Posted in reply to finans_sas

04-07-2013 12:01 PM

PROC TTEST has a PAIRED statement and BY statement that work for the situation you describe.

Solution

04-08-2013
04:56 AM

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Posted in reply to finans_sas

04-08-2013 04:56 AM

I think you need to manipulate the results of Proc Ttest in order to achive desired output...

Proc sort data = test;

by wday;

run;

proc means data = test noprint;

var x y;

by wday;

output out = means mean(x) = mean(y) / autoname;

run;

ods output ttests = t_stat;

ods output statistics = other_stat;

/* If your samples that is X and Y are related */

proc ttest data = test;

var x y;

by wday;

run;

/* If your samples that is X and Y are related */

/* Based on the output you want, you need to use this Proc Ttest with PAIRED statement */

proc ttest data = test;

paired x * y;

by wday;

run;

ods output close;

/* If your X and Y are related */

proc sql;

create table final_t_test as

select a.wday,x_mean,y_mean,

b.mean as mean_x_mean_y,

c.probt as p_mean_x_mean_y

from stat_mean as a,

other_stat as b,

t_stat as c

where a.wday = b.wday = c.wday;

quit;

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Posted in reply to UrvishShah

04-11-2013 05:16 PM

Thank you for your help. I very much appreciated it.

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Posted in reply to finans_sas

04-12-2013 07:33 AM

I should say thanks to you as i got oppotunity to solve your query in SAS/Stat...

By the way nice to have discussion with you...

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Posted in reply to finans_sas

03-17-2015 09:24 AM

the dataset name is chandu that contains x y pro v variables requires data

2.5 4.2 dry 2

--------------

output from var x-v and var x--v

how to get about two variables